The Tidal Group : M2 SP500 Emini Futures Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Apr Performance -0.63% Min Investment $ 50k Mgmt. Fee 1.00% Perf. Fee 15.00% Annualized Vol 12.58% Sharpe (RFR=1%) 0.29 CAROR 3.91% Assets $ 224k Worst DD -17.21 S&P Correlation -0.21 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page Growth of 1,000 - VAMI Monthly Performance Export Data Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Period Returns Program / Index Apr Qtr YTD 1yr 3yr 5yr 10yr Since1/2013 M2 SP500 Emini Futures Program -0.63 - - - - -2.04 - 13.64 S&P 500 0.27 - - - - 51.43 - 145.41 +/- S&P 500 -0.90 - - - - -53.47 - -131.77 Strategy Description SummarySystematic SP500 Emini Futures Trading strategy. Grey box. Trades 1 daily. The returns reflect on this site are proforma returns based on 2% and 25% performance fee. Ms. Blaisdell started her career in finance at the University of Colorado at Boulder in September 1997.... Read More Account & Fees Type Managed Account Minimum Investment $ 50k Trading Level Incremental Increase $ 0k CTA Max Funding Factor 3.00 Management Fee 1.00% Performance Fee 15.00% Average Commission $0 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency Daily Redemption Frequency Daily Investor Requirements Any Investor Lock-up Period 0 Trading Trading Frequency 1750 RT/YR/$M Avg. Margin-to-Equity 10% Targeted Worst DD Worst Peak-to-Trough 17.84% Sector Focus Stock Index Traders Holding Periods Over 12 Months 0% 4-12 Months 0% 1-3 Months 0% 1-30 Days 0% Intraday 100.00% Decision-Making Discretionary 0% Systematic 100.00% Strategy Other 100.00% Composition Stock Indices 100.00% SummarySystematic SP500 Emini Futures Trading strategy. Grey box. Trades 1 daily. The returns reflect on this site are proforma returns based on 2% and 25% performance fee. Ms. Blaisdell started her career in finance at the University of Colorado at Boulder in September 1997. While attending college, Ms. Blaisdell had a three year student internship with Charles Schwab in Denver from November 1997 to December 2000. Ms. Blaisdell was the first ever intern to take her Series 7 & 63 at Charles Schwab. In the summer of 2000, Ms. Blaisdell interned as a non-employee at Hull Trading Company, a Division of Goldman Sachs & Company and later joined them full time in January 2001 as an assistant trader in the S&P500 futures and options on futures trading pits at the CME and CBOE. Hull Trading Company was an independent algorithmic trading firm and electronic market maker that was known for its quantitative and technology-based trading strategy. Hull Trading Company was purchased by Goldman Sachs in 1999. Ms. Blaisdell became a trader in the S&P 500 options and OEX pit at the CBOE in September 2002 prior to moving upstairs in New York City to trade a one hundred million aside delta one and volatility trading book for Goldman Sachs in August of 2003. Taylor Blaisdell co-founded TTG in March of 2012 when it was a New Jersey LLC. Ms. Blaisdell became a registered associated person and principal of the Advisor on May 20, 2015. Ms. Blaisdell has been in finance for over 20 years and prior to founding TTG, she served as a financial consultant in trading and risk management to Hedge Funds and Private Wealth Managers. As a consultant, Taylor provided insight in portfolio risk management, systematic trading and market volatility to several 100 million dollar clients; at one point consulting on over $1 billion in assets. Through her consulting experience and in conjunction with her 5 quantitative and trading background, Taylor developed a systematic futures trading program which is currently employed today in the Advisor’s program. Prior to being a consultant, Ms. Blaisdell became employed by Goldman Sachs from January 2001 to April 2004. While with Goldman Sachs & Co., which is a registered as a futures commission merchant and a Member of NFA, Ms. Blaisdell was registered as an associated person from October 2003 through April 2004. Ms. Blaisdell also held a series 7 license and was a registered representative with Goldman Sachs & Co. Investment StrategyM2 is an actively-managed fully systematic model that positions long or short once daily depending on the model signal. In addition to daily positioning the model also adjust exposure from 10-20% based on conviction. M2 seeks capital appreciation during periods of low risk, and capital preservation during periods of high risk. The signal is generated by a proprietary model that measures market risk and velocity of the market in conjunction with other proprietary financial measurements. Risk ManagementDesigned to capitalize on capital preservation in times of higher volatility and to capitalize on capital appreciation in lower volatility environments. THIS TRADING ADVISOR PREVIOUSLY HAS NOT DIRECTED ANY ACCOUNTS. Although the Advisor has not managed accounts, one of the Advisor’s Trading Principals has Power of Attorney over one account. This one account started trading in January 2013 with $50,000 and in July 2014, the account increased the trading level to $1,000,000. In October 2015, the account withdrew approximately $700,000 from the account unrelated to the performance in the program. Ms. Blaisdell did not charge a management fee however did charge a 50% incentive fee. Since the fee structure is not in line with the fees that are being charged in this disclosure document, the Advisor has adjusted the performance to reflect a 1% management fee and a monthly incentive fee of 15%. The account presented in the Performance Capsule was funded with actual funds and no notional funds. The unaudited Rates of Return represented in the following Capsule and all performance data relating to the Rates of Return have been calculated on an accrual basis of accounting in accordance with Generally Accepted Accounting Principles. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual Reward Average RoR: Max Gain: Gain Frequency: Average Gain: Gain Deviation: Risk Standard Deviation: Worst Loss: Loss Frequency: Average Loss: Loss Deviation: Reward/Risk Sharpe Ratio: (RF=1%) Skewness: Kurtosis: Reward Compound RoR: Average RoR: Max Gain: Gain Frequency: Average Gain: Gain Deviation: Risk Standard Deviation: Worst Loss: Loss Frequency: Average Loss: Loss Deviation: Reward/Risk Sharpe Ratio: (RF=1%) Skewness: Kurtosis: Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year. Drawdown Report Depth Length (Mos.) Recovery (Mos.) Peak Valley -17.21 9 4 3/1/2013 12/1/2013 -12.15 9 - 7/1/2015 4/1/2016 -8.48 7 5 4/1/2014 11/1/2014 -0.70 1 1 4/1/2015 5/1/2015 Show More Consecutive Gains Run-up Length (Mos.) Start End 24.65 4 1/1/2014 4/1/2014 13.66 3 1/1/2013 3/1/2013 9.40 2 3/1/2015 4/1/2015 9.01 2 6/1/2015 7/1/2015 3.52 1 8/1/2013 8/1/2013 2.80 2 12/1/2014 1/1/2015 1.40 1 2/1/2016 2/1/2016 0.87 2 11/1/2015 12/1/2015 0.67 1 8/1/2014 8/1/2014 Show More Consecutive Losses Run-up Length (Mos.) Start End -10.78 4 9/1/2013 12/1/2013 -10.37 4 4/1/2013 7/1/2013 -8.55 3 8/1/2015 10/1/2015 -4.77 3 5/1/2014 7/1/2014 -4.53 3 9/1/2014 11/1/2014 -3.39 2 3/1/2016 4/1/2016 -2.78 1 1/1/2016 1/1/2016 -1.02 1 2/1/2015 2/1/2015 -0.70 1 5/1/2015 5/1/2015 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year Number of Periods40.0038.0035.0029.0023.0017.00 Percent Profitable45.0047.3748.5782.7686.9694.12 Average Period Return0.381.171.825.658.1211.46 Average Gain3.527.229.657.379.8912.37 Average Loss-2.18-4.28-5.57-2.61-3.67-3.11 Best Period12.0719.8120.0817.0031.0726.97 Worst Period-5.95-9.98-13.47-5.90-4.69-3.11 Standard Deviation3.637.159.315.438.979.02 Gain Standard Deviation2.935.316.134.108.238.47 Loss Standard Deviation1.492.914.332.570.90 Sharpe Ratio (1%)0.080.130.140.860.741.05 Average Gain / Average Loss1.611.691.732.822.703.97 Profit / Loss Ratio1.321.521.6413.5517.9863.54 Downside Deviation (10%)2.204.506.523.454.875.00 Downside Deviation (5%)2.003.885.301.781.891.26 Downside Deviation (0%)1.943.725.011.451.350.76 Sortino Ratio (10%)-0.01-0.01-0.100.190.110.24 Sortino Ratio (5%)0.150.240.252.623.507.49 Sortino Ratio (0%)0.200.310.363.916.0115.17 Top Performer Badges Index Award Type Rank Performance Period Stock Index Trader Index Month 6 4.24 7/2015 Stock Index Trader Index Month 5 3.51 6/2015 Stock Index Trader Index Month 5 3.24 4/2015 Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. x {{title}} x {{title}} Add Cancel